In which work, Milton states that— "While the still Morn went out with sandals grey"?

Option 4 : Lycidas

The correct answer is Lycidas.

• Lycidas is a poem by John Milton, written in 1637 as a pastoral elegy. 
• It was included in a 1638 collection of elegies, Justa Edouardo King Naufrago.
• Many of the other poems in the compilation are in Greek and Latin, but Lycidas is one of the poems written in English. 
• Lycidas is dedicated to the memory of Edward King, a friend of Milton at Cambridge who drowned when his ship sank in the Irish Sea off the coast of Wales in August 1637. 
• In the stanza from Lines 186-189, Milton the poet, who has adopted the persona of the 'uncouth swain' or shepherd singing about the idealized Lycidas, writes: "Thus sang the uncouth swain to th' oaks and rills,/ While the still morn went out with sandals grey;" 
• The lines mean that the song sung by the uncouth swain in praise of the beautiful Lycidas who is no more, is actually sung to the oak trees and streams (rills) around him, while the morning slowly tiptoes in wearing grey sandals. Therefore, we see that the correct answer is Lycidas. 

Thus, Option 4 is the correct answer.

•  The line quoted in the question makes use of the figure of speech of Personification; the abstract entity of 'the morning' is personified as a human being who is wearing sandals. 

•  Comus (A Masque Presented at Ludlow Castle, 1634) was a masque or short piece of courtly festive entertainment written by John Milton arguing for chastity. 
• L'Allegro and Il Pensoroso are two companion poems written by John Milton in the pastoral tradition sometime around 1645-46. L'Allegro (which means "the happy man" in Italian) and Il Penseroso (which means "the melancholy man"), together depict a similar day spent in contemplation and thought.